美国货币监理署对新协议的基本态度

美国货币监理署对新协议的基本态度(Englishversionavailable)

2003年8月4日，货币监理署以《公告》的形式，对美联储、货币监理署、联邦存款保险公司、互济储贷机构监理署在《联储登记》上发布的《条例草案预告》、《信用风险监管指引》和《操作险监管指引》进行了公告。这些文件从各个方面阐述了美国监管当局对实施新资本协议的政策导向。-------------------------------------------------------

美联储、货币监理署、联邦存款保险公司、互济储贷机构监理署（以下简称监管当局）共同起草了三个文件，首次对美国如何实行新资本协议进行了全面的阐述，并要求对上述三个文件进行评论。《条例草案预告》提出了一些具体问题，监管当局鼓励银行业对以上问题提出反馈意见。虽然三个文件一起公布，但侧重点和覆盖范围不同。《条例草案预告》主要侧重于将来美国实施新资本协议的监管框架。《条例草案预告》明确了

“强制施行”新资本协议高级法的银行所须达到的标准（资产超过2500亿美元或国外资产超过100亿美元），对这些“强制施行”的银行提出了监管要求和实施的时间表。此外，《条例草案预告》对其他两类银行，即自主选择施行新资本协议的银行和选择不施行新资本协议的银行也规定了监管要求。自主选择施行新资本协议的银行必须满足与强制施行银行相同的监管要求，不施行新资本协议的银行将继续执行当前的资本监管规定。《条例草案预告》概括了对所有信贷组合，即批发、零售、投资、资产证券化和购入应收账款以及操作风险的监管要求，并对监督检查（第二支柱）和信息披露（第三支柱）的相关规定也作了进一步的阐述。《条例草案预告》就监管指引未涉及到的其他重要问题，如零售贷款和证券化进行了说明，并讨论了如何使这些问题适应美国的资本监管框架。《条例草案预告》的最后一部分讨论了监管当局在监管方面的其他考虑，并就新资本协议所引起的成本和收益问题征求业内的反馈意见。监管当局希望业内对《条例草案预告》所提的问题进行评论。由于新资本协议还未定稿，对新资本协议未完全解决的一般性问题和技术问题仍有许多不同意见。例如，在将新资本协议转化为适用于美国银行资本监管框架的过程中，大家对新资本协议的涵义、如何以最好的方式实施新资本协议，以及如何解决后续问题等都提出了许多意见。因此，《条例草案预告》重点提出了监管当局希望业内进一步反馈的问题，如新资本协议对不同类型银行竞争性的影响、内部评级法将预期损失和非预期损失包括在监管资本中的合理性、操作风险高级计量法计算资本的方法，以及在过渡期内调整监管资本底线的影响等。对以上问题的反馈意见以及其他意见，在新资本协议定稿前，监管当局将向巴塞尔委员会进一步提出修改意见，在出台正式的《条例草案》时，监管当局也将考虑上述意见。《条例草案预告》还特别强调，在美国实施新资本协议前，应再进行一次定量影响测算。除《条例草案预告》以外，货币监理署和其他监管机构也对公司贷款信用风险的内部评级高级法和操作风险的高级计量法发布了监管指引。这两个监管指引详细阐述了银行采用高级方法所应达到的标准。监管当局也要求业内对这两个监管指引文件提出意见。《信用风险监管指引》只适用于公司风险暴露。指引阐述了公司贷款内部评级法的主要部分，并规定了银行使用内部评级高级法计算资本要求的四部分标准：评级、量化、数据维护和监控机制。指引强调了内部评级法的四个部分的相互关联性。考虑到信用风险管理技术的更新以及银行管理信用风险的不同方法，在设计和实施内部评级法方面，指引为银行提供了灵活性。监管当局正在研究关于信用风险的其他方面，如零售贷款的监管指引。对强制施行和自主选择施行新资本协议的银行，《操作风险监管指引》对操作风险的高级计量法进行了说明，重点阐述了风险管理和风险衡量的重要性。操作风险的监管标准包括了许多方面，如公司治理结构，风险量化，测试和审查，以及数据维护等。《操作风险监管指引》的大部分内容侧重于操作风险的关键输入因素，包括内部数据、外部数据、情景分析、业务环境和控制因素等。这些因素将有助于生成操作风险暴露，操作风险暴露即为计算操作风险资本要求的基础。操作风险监管指引的起草者认识到，衡量和管理操作风险的技术仍不成熟。因而，假如银行满足监管标准，在开发操作风险的框架时，监管当局允许银行有一定程度的灵活性。

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OCC2003-32OCCBULLETINComptrolleroftheCurrencyAdministratorofNationalBanksSubject:ProposedRevisionstoRisk-BasedCapitalImplementingthenewBaselCapitalAccordDescription:AdvanceNoticeofProposedRulemakingandSupervisoryGuidance

TO:

ChiefExecutiveOfficersofAllNationalBanks,FederalBranchesandAgencies,DepartmentandDivisionHeads,andAllExaminingPersonnel

ThisbulletinbrieflysummarizestheAdvanceNoticeofProposedRulemaking(ANPR)andSupervisoryGuidancedevelopedforcorporatecreditriskandoperationalriskthatwerepublishedtodayinthe

FederalRegister.

Becauseoftheirlength,thedocumentsarenotattachedtothisbulletin,buttheycanbeaccessedat/federal_register/.

ThesedocumentsseekcommentonallaspectsoftheU.S.proposalstoimplementrevisionstotheBaselCapitalAccordthatarecurrentlyunderconsiderationbytheBaselCommitteeonBankingSupervision.

TheBaselCommittee’sproposedrevisionsarecontainedinaconsultativedocument,“TheNewBaselCapitalAccord”(BaselII),issuedonApril29,2003.

Theconsultativepapercanbefoundat.

SUMMARY

TheOfficeoftheComptrolleroftheCurrency(OCC),theBoardofGovernorsoftheFederalReserveSystem,theFederalDepositInsuranceCorporation,andtheOfficeofThriftSupervision(theagencies)havejointlydevelopedthreedocumentsthatprovidethefirstcomprehensivediscussionofhowBaselIImightbeimplementedintheUnitedStates.

Commentsarerequestedonallthreedocuments.

IntheANPR,specificquestionsareposed,andcommentersareurgedtoprovidefeedbackonthoseissues.

Whilethethreedocumentshavebeenissuedtogether,theyareverydifferentintermsoffocusandscopeofcoverage.

TheANPRfocusesprimarilyontheregulatoryframeworkthatwillimplementBaselIIintheUnitedStates.

TheANPRidentifiesthecriteria(assetsgreaterthan$250billionorforeignexposuresgreaterthan$10billion)thatwillbeusedtodeterminewhetherabankwillberequiredtoapplytheadvancedcapitalapproachesunderBaselII.

TheANPRdescribestherequirementsforthese“mandatory”banks,includingtherelevantimplementationtimeframes.

Inaddition,theANPRdiscussesthetwoothercategoriesofbanks—thosebanksthatchoosetoopt-intotheproposednewcapitalframeworkandthosebanksthatarenon-BaselIIbanks.

Opt-inbankswillberequiredtomeetthesamesupervisorystandardsasmandatorybanks,whilenon-BaselIIbanksintheUnitedStateswillcontinuetobesubjecttothecurrentrisk-basedcapitalrules.

TheANPRsummarizestherequirementsforallcreditportfolios—wholesale,retail,equity,securitization,andpurchasedreceivables—andforoperationalrisk.

Itdescribestheexpectationsforsupervisoryreview(Pillar2)anddisclosure(Pillar3).

TheANPRalsoreviewsthestatusofsubstantiveareaswheresupplementarysupervisoryguidanceisnotyetavailable,suchasretailcreditsandsecuritizationanddiscusseshowsuchproposalsmightbefurtherrefinedandincorporatedintotheU.S.regulatorycapitalframework.

ThelastsectionoftheANPRdiscussesadditionalregulatoryconsiderationsandseeksinputoncostsandbenefitsstemmingfromtheproposedframework.

ReviewersshouldfocusparticularlyonthequestionstheagenciesareaskingintheANPR.

SinceBaselIIhasnotyetbeenfinalizedbytheBaselCommittee,therearebothgeneralandtechnicalconcernswiththeproposalthathavenotbeenfullyresolved.

Forexample,inworkingtotranslateBaselIIintoaworkingprogramforU.S.banks,questionshavearisenabouttherangeofimplicationsoftheproposal,howbesttoimplementtheproposals,andhowbesttoaddresscontinuedopenissues.

Asaresult,theANPRhighlightsanumberofareasinwhichtheagenciesareseekingspecificfeedback,includingthecompetitiveeffectsofBaselIIimplementation,theappropriatenessoftheexpectedplusunexpectedlossframeworkunderlyingtheInternalRatings-BasedApproach(IRB)andAdvancedMeasurementApproaches(AMA)regulatorycapitalcalculation,andtheeffectofproposedchangestotransitionalfloorstotheregulatorycapitalcalculation.

Theagenciesplantousethefeedbackonthesequestions,andallcommentsreceived,astheyconsiderfinalizationofBaselIIanddevelopmentofaNoticeofProposedRulemaking.

TheANPRalsohighlightstheneedforanadditionalquantitativeimpactstudybeforetheproposalisfinalizedintheUnitedStates.

InadditiontotheANPR,theOCCandotheragenciesarealsopublishingsupervisoryguidancefortheadvancedapproachesforcorporatecreditriskandoperationalrisk.

Theseguidancepapersdescribeinmoredetailthestandardsthatbankswillberequiredtomeetinordertoqualifyfortheproposedadvancedapproaches.

LiketheANPR,commentsareencouragedonbothofthesupervisoryguidancedocuments.

Thesupervisoryguidanceforcreditriskcoversonlycorporatecreditexposures.

TheguidancediscussesthecriticalcomponentsoftheIRBforcorporatecreditsandidentifiesthestandardsthatbanksmustmeetinordertousetheIRBframeworktocalculateregulatorycapital.

Itisdividedintofourchapters:

ratings;quantification;datamaintenance;andcontrolandoversightmechanisms.

TheguidanceemphasizestheinterdependentrelationshipamongthesefourcomponentsofanIRBsystem.

Recognizingthatcreditriskmanagementisevolvingandthatbankspursuearangeofdifferentapproachesinmanagingcredit,theguidanceaffordsbanksflexibilityindesigningandimplementingtheirIRBsystems.

Guidanceonadditionalareasofcreditrisk,suchasretailcredit,iscurrentlybeingdeveloped.

ThesupervisoryguidanceforoperationalriskdescribestheAMAthat“mandatory”andopt-inU.S.bankswouldbeexpectedtoadopt.

TheguidancehighlightstheimportanceofbothriskmanagementandriskmeasurementinanAMAoperationalriskframework.

Thesupervisorystandardscoveranumberofdifferentareas,includingcorporategovernance,riskquantification,testingandverification,anddatamaintenance.

Muchofthedocumentfocusesonthecriticalinputstotheoperationalriskframework,includinginternaldata,externaldata,scenarioanalysis,andbusinessenvironmentandcontrolfactors.

Theseelementswillhelpgeneratetheoperationalriskexposureresultthatisthefoundationfortheregulatorycapitalcharge.

Theauthorsofthisguidancerecognizethatthemeas